NPORT-EX 1 d756417dnportex.htm BROOKFIELD REAL ASSETS INCOME FUND INC. Brookfield Real Assets Income Fund Inc.



BROOKFIELD REAL ASSETS INCOME FUND INC.
           
Schedule of Investments (Unaudited)
           
March 31, 2019
           
 
 
Principal
Amount
(000s)
   
Value
 
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.4%
           
U.S. Government Agency Collateralized Mortgage Obligations - 0.0%
           
Federal National Mortgage Association
           
Series 1997-79, Class PL, 6.85%, 12/18/27
 
$
91
   
$
100,650
 
Total U.S. Government Agency Collateralized Mortgage Obligations
           
100,650
 
U.S. Government Agency Pass-Through Certificates - 0.4%
               
Federal Home Loan Mortgage Corporation
               
Pool C69047, 7.00%, 06/01/32
   
165
     
182,290
 
Pool C56878, 8.00%, 08/01/31
   
42
     
42,803
 
Pool C58516, 8.00%, 09/01/31
   
34
     
34,562
 
Pool C59641, 8.00%, 10/01/31
   
64
     
66,317
 
Pool C55166, 8.50%, 07/01/31
   
88
     
91,171
 
Pool C55167, 8.50%, 07/01/31
   
53
     
54,207
 
Pool C55169, 8.50%, 07/01/31
   
53
     
54,078
 
Pool G01466, 9.50%, 12/01/22
   
16
     
15,727
 
Pool 555559, 10.00%, 03/01/21
   
0
     
372
 
Pool 555538, 10.00%, 03/01/21
   
0
     
75
 
Federal National Mortgage Association
               
Pool 761836, 6.00%, 06/01/33
   
281
     
302,286
 
Pool 948362, 6.50%, 08/01/37
   
47
     
50,768
 
Pool 645912, 7.00%, 06/01/32
   
181
     
198,693
 
Pool 645913, 7.00%, 06/01/32
   
247
     
272,726
 
Pool 650131, 7.00%, 07/01/32
   
250
     
277,355
 
Pool 827853, 7.50%, 10/01/29
   
23
     
23,205
 
Pool 545990, 7.50%, 04/01/31
   
274
     
301,848
 
Pool 255053, 7.50%, 12/01/33
   
88
     
98,422
 
Pool 735576, 7.50%, 11/01/34
   
281
     
330,339
 
Pool 896391, 7.50%, 06/01/36
   
83
     
85,656
 
Pool 735800, 8.00%, 01/01/35
   
233
     
271,737
 
Pool 636449, 8.50%, 04/01/32
   
222
     
245,490
 
Pool 458132, 8.78%, 03/15/31
   
102
     
108,371
 
Pool 852865, 9.00%, 07/01/20
   
38
     
38,854
 
Pool 545436, 9.00%, 10/01/31
   
159
     
186,095
 
Total U.S. Government Agency Pass-Through Certificates
           
3,333,447
 
Total U.S. GOVERNMENT & AGENCY OBLIGATIONS
               
(Cost $3,194,903)
           
3,434,097
 
SECURITIZED CREDIT - 48.9%
               
Commercial Mortgage-Backed Securities - 6.3%
               
Class B Notes
               
 Moreland Avenue, 9.23%, 11/01/20 (f) (l) (p)
   
224
     
225,222
 
 Browns Bridge, 9.50%, 11/01/20 (f) (l) (p)
   
118
     
118,104
 
 Crossroads, 9.50%, 11/01/20  (f) (l) (p)
   
169
     
168,500
 
 Fayetteville, 9.50%, 11/01/20 (f) (l) (p)
   
48
     
49,107
 
 Lee & White, 9.50%, 11/01/20 (f) (l) (p)
   
91
     
93,099
 
 North River, 9.50%, 11/01/20 (f) (l) (p)
   
186
     
190,447
 
 Marshalls, 9.50%, 11/01/20 (f) (l) (p)
   
383
     
386,916
 
 Town and Country, 9.50%, 11/01/20 (f) (l) (p)
   
491
     
491,458
 
 St. Louis Holiday Inn, 10.08%, 07/01/20  (f) (l) (p)
   
1,976
     
1,944,223
 
 Cedar Park, 11.00%, 06/01/19  (f) (l) (p)
   
600
     
600,075
 
 Credit Suisse Commercial Mortgage Trust
               
Series 2006-C1, Class K, 5.65%, 02/15/39 (e) (v)
   
351
     
3,511
 
Hilton USA Trust
               
Series 2016-HHV, Class E, 4.19%, 11/05/38 (e) (v)
   
20,000
     
19,504,446
 
Morgan Stanley Capital I Trust
               
Series 2007-T25, Class AJ, 5.57%, 11/12/49 (v)
   
7,192
     
7,273,508
 
Series 2007-T27, Class AJ, 5.95%, 06/11/42 (v)
   
2,677
     
2,826,084
 
Wachovia Bank Commercial Mortgage Trust
               
Series 2005-C20, Class F, 5.44%, 07/15/42 (e) (v)
   
1,110
     
1,073,461
 
Waldorf Astoria Boca Raton Trust
               
Series 2016-BOCA, Class E, 6.83% (1 Month LIBOR USD + 4.35%), 06/15/29 (e) (v)
   
20,000
     
20,012,000
 
Total Commercial Mortgage-Backed Securities
           
54,960,161
 
Interest-Only Securities - 0.7%
               
Government National Mortgage Association
               
Series 2010-132, Class IO, 0.41%, 11/16/52 (v)
   
1,019
     
37,781
 
JP Morgan Mortgage Trust
               
Series 2015-4, Class 2X1, 0.29%, 06/25/45 (e) (v)
   
87,340
     
1,398,590
 
Series 2014-5, Class AX4, 0.48%, 10/25/29 (e) (v)
   
9,762
     
98,701
 
Vendee Mortgage Trust
               
Series 1997-2, Class IO, 0.00%, 06/15/27 (v)
   
5,730
     
6
 
Voyager CNTYW Delaware Trust
               
Series 2009-1, Class 3QB1, 14.27%, 03/16/30 (e) (v)
   
4,694
     
4,358,368
 
Total Interest-Only Securities
           
5,893,446
 
Other - 4.4%
               
Conseco Finance Securitizations Corp.
               
Series 2001-4, Class A4, 7.36%, 08/01/32 (v)
   
28
     
27,917
 
GMACM Home Equity Loan Trust
               
Series 2005-HE3, Class A2, 2.99% (1 Month LIBOR USD + 0.50%), 02/25/36 (s) (v)
   
2,120
     
2,092,039
 
Series 2005-HE3, Class A1VN, 2.99% (1 Month LIBOR USD + 0.50%), 02/25/36 (s) (v)
   
1,899
     
1,875,968
 
Series 2007-HE2, Class A2, 6.05%, 12/25/37 (v)
   
1,327
     
1,309,376
 
Series 2007-HE2, Class A3, 6.19%, 12/25/37 (v)
   
2,556
     
2,531,648
 
GMACM Home Loan Trust
               
Series 2006-HLTV, Class A5, 6.51%, 10/25/29 (s)
   
1,795
     
1,818,839
 
Irwin Home Equity Loan Trust
               
Series 2006-1, Class 2A3, 6.27%, 09/25/35 (e) (s)
   
2,058
     
2,097,110
 
Lehman ABS Manufactured Housing Contract Trust
               
Series 2001-B, Class M1, 6.63%, 04/15/40 (v)
   
10,017
     
10,476,179
 
Mid-State Capital Corporation Trust
               
Series 2004-1, Class M1, 6.50%, 08/15/37
   
2,553
     
2,741,494
 
Series 2004-1, Class M2, 8.11%, 08/15/37
   
2,104
     
2,358,043
 
Series 2004-1, Class B, 8.90%, 08/15/37
   
638
     
717,513
 
Mid-State Trust X
               
Series 10, Class B, 7.54%, 02/15/36
   
3,500
     
3,775,524
 
Oakwood Mortgage Investors, Inc.
               
Series 2001-E, Class A4, 6.81%, 12/15/31
   
5,418
     
5,355,549
 
Series 2001-D, Class A4, 6.93%, 09/15/31 (v)
   
765
     
642,793
 
Total Other
           
37,819,992
 
Residential Mortgage-Backed Securities - 37.5%
               
ACE Securities Corporation Home Equity Loan Trust
               
Series 2006-OP1, Class A2D, 2.73% (1 Month LIBOR USD + 0.24%), 04/25/36 (s) (v)
   
6,740
     
6,350,129
 
Alternative Loan Trust
               
Series 2007-OA3, Class 1A1, 2.63% (1 Month LIBOR USD + 0.14%), 04/25/47 (s) (v)
   
11,838
     
11,249,810
 
Series 2007-HY6, Class A1, 2.70% (1 Month LIBOR USD + 0.21%), 08/25/47 (s) (v)
   
4,125
     
3,584,936
 
Series 2007-2CB, Class 2A11, 2.89% (1 Month LIBOR USD + 0.40%), 03/25/37 (v)
   
4,097
     
2,596,083
 
Series 2005-10CB, Class 1A1, 2.99% (1 Month LIBOR USD + 0.50%), 05/25/35 (v)
   
2,578
     
2,223,633
 
Series 2007-16CB, Class 4A5, 2.99% (1 Month LIBOR USD + 0.50%), 08/25/37 (v)
   
7,598
     
6,130,989
 
Series 2005-51, Class 4A1, 3.13% (1 Month LIBOR USD + 0.64%), 11/20/35 (s) (v)
   
2,598
     
2,432,702
 
Series 2006-19CB, Class A9, 3.19% (1 Month LIBOR USD + 0.70%), 08/25/36 (v)
   
3,173
     
2,216,351
 
Series 2007-12T1, Class A22, 5.75%, 06/25/37
   
2,513
     
1,791,635
 
Series 2007-15CB, Class A2, 5.75%, 07/25/37
   
1,441
     
1,209,845
 
Series 2007-15CB, Class A5, 5.75%, 07/25/37
   
1,326
     
1,113,640
 
Series 2006-29T1, Class 2A5, 6.00%, 10/25/36
   
1,973
     
1,602,768
 
Series 2006-41CB, Class 1A7, 6.00%, 01/25/37
   
1,681
     
1,382,622
 
Series 2006-45T1, Class 2A5, 6.00%, 02/25/37
   
3,245
     
2,668,189
 
Series 2006-29T1, Class 2A6, 6.50%, 10/25/36
   
3,097
     
2,625,887
 
Series 2006-23CB, Class 2A7, 18.46% (1 Month LIBOR USD + 28.40%), 08/25/36 (i) (v)
   
1,582
     
2,086,189
 
Series 2006-29T1, Class 3A3, 53.26% (1 Month LIBOR USD + 78.40%), 10/25/36 (i) (v)
   
704
     
2,141,184
 
BCAP LLC Trust
               
Series 2010-RR6, Class 1910, 3.14% (1 Month LIBOR USD + 0.33%), 11/26/35 (e) (s) (v)
   
6,675
     
6,319,911
 
Series 2010-RR5, Class 5A10, 3.14% (1 Month LIBOR USD + 0.33%), 11/26/35 (e) (v)
   
5,293
     
5,150,315
 
Series 2012-RR4, Class 5A6, 3.91%, 05/28/36 (e) (v)
   
7,826
     
7,250,727
 
Series 2013-RR2, Class 3A2, 5.10%, 03/26/36 (e) (v)
   
3,503
     
3,427,033
 
Chase Mortgage Finance Trust
               
Series 2005-A2, Class 3A2, 4.07%, 01/25/36 (v)
   
1,964
     
1,788,115
 
Series 2007-A1, Class 11M1, 4.10%, 03/25/37 (v)
   
4,721
     
4,654,084
 
CHL Mortgage Pass-Through Trust
               
Series 2006-20, Class 1A18, 3.14% (1 Month LIBOR USD + 0.65%), 02/25/37 (v)
   
6,453
     
4,140,066
 
Series 2007-5, Class A29, 5.50%, 05/25/37
   
314
     
255,122
 
Series 2004-21, Class A10, 6.00%, 11/25/34
   
125
     
129,823
 
Series 2007-18, Class 1A1, 6.00%, 11/25/37
   
410
     
347,310
 
Citicorp Mortgage Securities Trust
               
Series 2006-5, Class 1A11, 3.39% (1 Month LIBOR USD + 0.90%), 10/25/36 (v)
   
935
     
844,829
 
Citigroup Mortgage Loan Trust
               
Series 2012-6, Class 2A2, 4.09%, 08/25/36 (e) (v)
   
14,453
     
14,260,848
 
Series 2009-11, Class 8A2, 4.41%, 04/25/45 (e) (v)
   
3,244
     
3,080,645
 
Series 2007-AR5, Class 1A2A, 4.56%, 04/25/37 (v)
   
1,558
     
1,451,177
 
Series 2009-6, Class 19A2, 6.00%, 03/25/36 (e) (v)
   
3,611
     
3,446,371
 
Series 2009-8, Class 2A2, 6.10%, 04/25/37 (e) (v)
   
5,921
     
5,218,610
 
Countrywide Asset-Backed Certificates
               
Series 2006-13, Class 1AF4, 4.38%, 01/25/37 (v)
   
3,696
     
3,707,632
 
Credit Suisse Mortgage Trust
               
Series 2011-10R, Class 3A2, 4.71%, 09/27/36 (e) (v)
   
3,499
     
3,516,997
 
First Horizon Alternative Mortgage Securities Trust
               
Series 2005-FA8, Class 1A6, 3.14% (1 Month LIBOR USD + 0.65%), 11/25/35 (v)
   
2,250
     
1,596,538
 
Series 2005-FA9, Class A1, 3.19% (1 Month LIBOR USD + 0.70%), 12/25/35 (v)
   
1,947
     
1,438,282
 
GSAMP Trust
               
Series 2006-NC2, Class A2C, 2.64% (1 Month LIBOR USD + 0.15%), 06/25/36 (s) (v)
   
672
     
438,404
 
Series 2006-HE8, Class A2C, 2.66% (1 Month LIBOR USD + 0.17%), 01/25/37 (s) (v)
   
10,361
     
9,970,701
 
GSR Mortgage Loan Trust
               
Series 2007-1F, Class 4A1, 2.79% (1 Month LIBOR USD + 0.30%), 01/25/37 (v)
   
9,589
     
5,128,071
 
Home Equity Asset Trust
               
Series 2006-7, Class 2A3, 2.64% (1 Month LIBOR USD + 0.15%), 01/25/37 (s) (v)
   
8,260
     
6,669,313
 
IndyMac INDA Mortgage Loan Trust
               
Series 2007-AR1, Class 1A1, 4.25%, 03/25/37 (v)
   
1,564
     
1,497,969
 
Series 2007-AR3, Class 1A1, 4.44%, 07/25/37 (v)
   
2,773
     
2,539,466
 
IXIS Real Estate Capital Trust
               
Series 2007-HE1, Class A1, 2.55% (1 Month LIBOR USD + 0.06%), 05/25/37 (s) (v)
   
2,881
     
989,968
 
Series 2006-HE3, Class A2, 2.59% (1 Month LIBOR USD + 0.10%), 01/25/37 (s) (v)
   
806
     
377,936
 
Series 2007-HE1, Class A2, 2.60% (1 Month LIBOR USD + 0.11%), 05/25/37 (s) (v)
   
4,587
     
1,585,305
 
Series 2006-HE2, Class A3, 2.65% (1 Month LIBOR USD + 0.16%), 08/25/36 (s) (v)
   
15,111
     
5,877,741
 
Series 2007-HE1, Class A3, 2.65% (1 Month LIBOR USD + 0.16%), 05/25/37 (s) (v)
   
1,414
     
491,581
 
Series 2007-HE1, Class A4, 2.72% (1 Month LIBOR USD + 0.23%), 05/25/37 (s) (v)
   
2,681
     
939,513
 
Series 2006-HE1, Class A4, 3.09% (1 Month LIBOR USD + 0.60%), 03/25/36 (s) (v)
   
539
     
341,317
 
JP Morgan Mortgage Trust
               
Series 2003-A2, Class B4, 4.41%, 11/25/33 (v)
   
73
     
4,669
 
Series 2003-A1, Class B4, 4.47%, 10/25/33 (v)
   
104
     
67,290
 
MASTR Asset Backed Securities Trust
               
Series 2006-NC3, Class A3, 2.59% (1 Month LIBOR USD + 0.10%), 10/25/36 (s) (v)
   
3,677
     
2,261,625
 
Series 2006-NC2, Class A4, 2.64% (1 Month LIBOR USD + 0.15%), 08/25/36 (s) (v)
   
9,707
     
5,184,749
 
Series 2006-NC3, Class A4, 2.65% (1 Month LIBOR USD + 0.16%), 10/25/36 (s) (v)
   
6,203
     
3,851,098
 
Series 2006-HE5, Class A3, 2.65% (1 Month LIBOR USD + 0.16%), 11/25/36 (s) (v)
   
14,934
     
10,175,522
 
Series 2006-NC2, Class A5, 2.73% (1 Month LIBOR USD + 0.24%), 08/25/36 (s) (v)
   
480
     
260,214
 
Series 2005-NC2, Class A4, 3.19% (1 Month LIBOR USD + 0.70%), 11/25/35 (s) (v)
   
9,988
     
6,968,060
 
Nomura Resecuritization Trust
               
Series 2013-1R, Class 3A12, 2.65% (1 Month LIBOR USD + 0.16%), 10/26/36 (e) (s) (v)
   
16,814
     
16,666,824
 
Series 2014-1R, Class 2A11, 3.34% (1 Month LIBOR USD + 0.13%), 02/26/37 (e) (v)
   
32,375
     
24,565,103
 
Series 2015-11R, Class 4A5, 3.55%, 06/26/37 (e) (l) (v)
   
3,034
     
2,001,949
 
Series 2014-6R, Class 5A7, 4.13%, 04/26/37 (e) (l) (v)
   
8,986
     
7,660,575
 
Series 2015-1R, Class 3A7, 4.15%, 03/26/37 (e) (l) (v)
   
5,650
     
4,314,741
 
Series 2014-2R, Class 1A7, 4.42%, 01/26/36 (e) (l) (v)
   
3,057
     
2,919,232
 
Series 2015-4R, Class 3A8, 4.61%, 02/26/36 (e) (l) (v)
   
19,700
     
19,306,362
 
Series 2015-1R, Class 4A7, 4.69%, 12/26/37 (e) (l) (v)
   
2,374
     
1,977,427
 
Series 2015-6R, Class 2A4, 6.22%, 01/26/37 (e) (l) (v)
   
15,193
     
12,482,590
 
Option One Mortgage Loan Trust
               
Series 2007-FXD1, Class 3A6, 5.66%, 01/25/37 (s)
   
690
     
674,704
 
RALI Trust
               
Series 2007-QO3, Class A1, 2.65% (1 Month LIBOR USD + 0.16%), 03/25/47 (s) (v)
   
2,503
     
2,368,428
 
Series 2006-QO7, Class 2A1, 3.25% (12 Month US Treasury Average + 0.85%), 09/25/46 (v)
   
10,210
     
9,196,474
 
Series 2006-QS14, Class A30, 48.94% (1 Month LIBOR USD + 81.25%), 11/25/36 (i) (v)
   
102
     
261,313
 
Residential Asset Securitization Trust
               
Series 2005-A13, Class 1A1, 3.19% (1 Month LIBOR USD + 0.70%), 10/25/35 (v)
   
4,800
     
4,105,468
 
RFMSI Trust
               
Series 2007-S3, Class 1A5, 5.50%, 03/25/37
   
2,507
     
2,181,317
 
Securitized Asset Backed Receivables LLC Trust
               
Series 2006-NC3, Class A2B, 2.64% (1 Month LIBOR USD + 0.15%), 09/25/36 (s) (v)
   
6,794
     
3,324,856
 
Series 2007-NC1, Class A2B, 2.64% (1 Month LIBOR USD + 0.15%), 12/25/36 (s) (v)
   
4,695
     
2,662,371
 
Washington Mutual Mortgage Pass-Through Certificates Trust
               
Series 2007-OA1, Class A1A, 3.10% (12 Month US Treasury Average + 0.70%), 02/25/47 (v)
   
3,238
     
3,048,741
 
Series 2007-HY5, Class 1A1, 3.36%, 05/25/37 (v)
   
3,515
     
3,173,813
 
Series 2007-HY5, Class 3A1, 3.68%, 05/25/37 (v)
   
1,833
     
1,749,370
 
Wells Fargo Mortgage Backed Securities Trust
               
Series 2006-AR5, Class 1A1, 5.08%, 04/25/36 (v)
   
4,849
     
4,919,552
 
Series 2005-2, Class 1B1, 5.50%, 04/25/35
   
3,117
     
2,887,588
 
Total Residential Mortgage-Backed Securities
           
323,500,337
 
Total SECURITIZED CREDIT
               
( Cost $434,049,676)
           
422,173,936
 
CORPORATE CREDIT - 49.3%
               
Automotive - 0.0%
               
Motors Liquidation Co., 0.00%, 07/15/33 (d) (f) (l) (n)
   
8,250
     
825
 
Basic Industrial - 2.2%
               
Cascades, Inc., 5.75%, 07/15/23 (e) (u)
   
2,200
     
2,194,500
 
INEOS Group Holdings SA, 5.63%, 08/01/24 (e) (r) (u)
   
9,850
     
9,825,375
 
Olin Corp., 5.00%, 02/01/30 (c)
   
7,000
     
6,807,500
 
Total Basic Industrial
           
18,827,375
 
Construction & Building Materials - 2.8%
               
Boise Cascade Co., 5.63%, 09/01/24 (c) (e)
   
2,225
     
2,191,625
 
Lennar Corp., 4.75%, 11/29/27
   
4,500
     
4,502,104
 
PulteGroup, Inc., 5.00%, 01/15/27
   
625
     
620,312
 
PulteGroup, Inc., 6.38%, 05/15/33 (c)
   
6,775
     
6,749,594
 
Toll Brothers Finance Corp., 4.88%, 11/15/25 (r)
   
9,900
     
9,961,875
 
Total Construction & Building Materials
           
24,025,510
 
Energy - 4.1%
               
EP Energy LLC, 6.38%, 06/15/23
   
3,725
     
726,375
 
EP Energy LLC, 8.00%, 11/29/24 (c) (e)
   
4,950
     
2,747,250
 
Indigo Natural Resources LLC, 6.88%, 02/15/26 (e)
   
5,000
     
4,425,000
 
Newfield Exploration Co., 5.63%, 07/01/24 (c)
   
6,150
     
6,717,030
 
Parsley Energy LLC, 5.25%, 08/15/25 (e)
   
3,550
     
3,496,750
 
Parsley Energy LLC, 5.38%, 01/15/25 (e) (r)
   
2,800
     
2,793,000
 
Pattern Energy Group, Inc., 5.88%, 02/01/24 (c) (e)
   
7,550
     
7,682,125
 
Puma International Financing SA, 5.13%, 10/06/24 (e) (u)
   
2,800
     
2,521,008
 
Range Resources Corp., 4.88%, 05/15/25 (r)
   
4,775
     
4,428,813
 
Range Resources Corp., 5.75%, 06/01/21
   
25
     
25,375
 
Total Energy
           
35,562,726
 
Financial Services - 1.0%
               
Ambac LSNI LLC, 7.59% (3 Month LIBOR USD + 5.00%), 02/12/23 (e) (u) (v)
   
8,669
     
8,733,952
 
Health Facilities - 2.9%
               
HCA, Inc., 5.25%, 06/15/26 (c) (r)
   
15,700
     
16,822,055
 
Tenet Healthcare Corp., 8.13%, 04/01/22 (c) (r)
   
7,600
     
8,176,460
 
Total Health Facilities
           
24,998,515
 
Infrastructure Services - 2.5%
               
Ashtead Capital, Inc., 5.63%, 10/01/24 (e) (r) (u)
   
2,550
     
2,636,062
 
Terex Corp., 5.63%, 02/01/25 (c) (e)
   
7,900
     
7,860,500
 
United Rentals North America, Inc., 5.50%, 05/15/27 (r)
   
4,825
     
4,873,250
 
United Rentals North America, Inc., 5.75%, 11/15/24 (c)
   
6,125
     
6,293,438
 
Total Infrastructure Services
           
21,663,250
 
Leisure - 3.6%
               
Boyd Gaming Corp., 6.38%, 04/01/26 (c) (r)
   
9,775
     
10,117,125
 
Cedar Fair LP, 5.38%, 04/15/27 (r)
   
2,200
     
2,211,000
 
GLP Capital LP, 5.38%, 04/15/26 (c)
   
7,925
     
8,280,832
 
MGM Growth Properties Operating Partnership LP, 5.63%, 05/01/24
   
9,775
     
10,166,000
 
Total Leisure
           
30,774,957
 
Media - 3.4%
               
CCO Holdings LLC, 5.75%, 01/15/24 (r)
   
7,450
     
7,645,563
 
CCO Holdings LLC, 5.88%, 05/01/27 (c) (e) (r)
   
6,850
     
7,108,930
 
CSC Holdings LLC, 5.25%, 06/01/24
   
8,800
     
8,932,000
 
CSC Holdings LLC, 10.88%, 10/15/25 (c) (e)
   
5,128
     
5,920,276
 
Total Media
           
29,606,769
 
Metals & Mining - 4.4%
               
Alcoa Nederland Holding BV, 7.00%, 09/30/26 (c) (e) (r)
   
8,450
     
9,110,114
 
ArcelorMittal, 6.13%, 06/01/25 (r) (u)
   
5,650
     
6,252,120
 
ArcelorMittal, 6.75%, 03/01/41 (r) (u)
   
3,475
     
3,873,690
 
Hudbay Minerals, Inc., 7.63%, 01/15/25 (e) (r) (u)
   
10,325
     
10,596,031
 
Kinross Gold Corp., 4.50%, 07/15/27 (u)
   
8,450
     
8,027,500
 
Total Metals & Mining
           
37,859,455
 
Oil Gas Transportation & Distribution - 7.5%
               
AmeriGas Partners LP, 5.50%, 05/20/25 (c)
   
8,300
     
8,268,875
 
Antero Midstream Partners LP, 5.38%, 09/15/24 (c)
   
5,825
     
5,870,435
 
Blue Racer Midstream LLC, 6.13%, 11/15/22 (c) (e)
   
4,325
     
4,389,875
 
Crestwood Midstream Partners LP, 6.25%, 04/01/23
   
6,475
     
6,636,875
 
Genesis Energy LP, 6.50%, 10/01/25
   
8,100
     
7,877,250
 
Global Partners LP, 6.25%, 07/15/22
   
4,325
     
4,270,937
 
Holly Energy Partners LP, 6.00%, 08/01/24 (e)
   
6,900
     
7,120,800
 
LBC Tank Terminals Holding Netherlands BV, 6.88%, 05/15/23 (c) (e) (u)
   
3,325
     
3,142,125
 
Parkland Fuel Corp., 6.00%, 04/01/26 (e) (u)
   
4,600
     
4,641,630
 
Targa Pipeline Partners LP, 5.88%, 08/01/23 (c)
   
5,725
     
5,713,206
 
Targa Resources Partners LP, 5.25%, 05/01/23 (c) (r)
   
5,000
     
5,089,700
 
Targa Resources Partners LP, 5.38%, 02/01/27
   
1,575
     
1,610,438
 
Total Oil Gas Transportation & Distribution
           
64,632,146
 
Real Estate - 3.1%
               
American Homes 4 Rent LP, 4.25%, 02/15/28 (r)
   
4,550
     
4,503,189
 
Hospitality Properties Trust, 4.95%, 02/15/27 (r)
   
6,775
     
6,715,983
 
iStar, Inc., 5.25%, 09/15/22
   
3,300
     
3,238,125
 
Lamar Media Corp., 5.38%, 01/15/24 (c)
   
7,475
     
7,661,875
 
Starwood Property Trust, Inc., 4.75%, 03/15/25 (r)
   
4,550
     
4,527,250
 
Total Real Estate
           
26,646,422
 
Telecommunication Services - 8.6%
               
American Tower Corp., 3.60%, 01/15/28 (r)
   
7,850
     
7,736,644
 
CenturyLink, Inc., Series U, 7.65%, 03/15/42 (c)
   
10,925
     
9,586,687
 
Crown Castle International Corp., 3.80%, 02/15/28 (r)
   
5,000
     
4,969,891
 
Crown Castle International Corp., 4.75%, 05/15/47 (r)
   
5,425
     
5,359,080
 
CyrusOne LP, 5.38%, 03/15/27
   
10,100
     
10,450,470
 
Digital Realty Trust LP, 3.70%, 08/15/27 (r)
   
6,810
     
6,742,377
 
Equinix, Inc., 5.38%, 05/15/27 (r)
   
8,900
     
9,347,670
 
SBA Communications Corp., 4.88%, 07/15/22
   
2,875
     
2,914,531
 
SBA Communications Corp., 4.88%, 09/01/24 (c)
   
7,025
     
7,097,358
 
T-Mobile USA, Inc., 6.50%, 01/15/26 (r)
   
1,025
     
1,094,188
 
Zayo Group LLC, 5.75%, 01/15/27 (e) (r)
   
3,625
     
3,617,025
 
Zayo Group LLC, 6.00%, 04/01/23
   
5,175
     
5,239,688
 
Total Telecommunication Services
           
74,155,609
 
Transportation - 0.6%
               
Watco Companies LLC, 6.38%, 04/01/23 (c) (e)
   
5,050
     
5,075,250
 
Utility - 2.6%
               
AES Corp., 4.88%, 05/15/23 (c)
   
4,250
     
4,308,438
 
AES Corp., 6.00%, 05/15/26
   
1,250
     
1,324,975
 
Calpine Corp., 5.75%, 01/15/25 (r)
   
5,250
     
5,223,750
 
Emera US Finance LP, 3.55%, 06/15/26 (c) (u)
   
4,600
     
4,550,541
 
NRG Energy, Inc., 6.63%, 01/15/27 (c)
   
6,425
     
6,914,906
 
Total Utility
           
22,322,610
 
Total CORPORATE CREDIT
               
(Cost $424,895,181)
           
424,885,371
 
TERM LOANS - 1.4%
               
Crestwood Holdings LLC, 10.11%, (3 Month LIBOR USD + 0.75%), 03/05/2023 (k) (p) (v)
   
4,705
     
4,612,939
 
EPIC Y-Grade Services LP, 8.11%, (3 Month LIBOR USD + 0.55%), 06/13/2025 (k) (p) (v)
   
7,400
     
7,196,500
 
Total TERM LOANS
               
(Cost $11,899,083)
           
11,809,439
 
 
 
Shares
   
Value
 
COMMON STOCKS - 28.5%
               
Airports - 0.3%
               
Aeroports de Paris (u)
   
2,700
   
$
522,394
 
Auckland International Airport Ltd. (u)
   
243,500
     
1,350,840
 
Japan Airport Terminal Company Ltd. (u)
   
26,323
     
1,115,305
 
Total Airports
           
2,988,539
 
Communications - 1.4%
               
American Tower Corp. (c)
   
41,950
     
8,266,667
 
Crown Castle International Corp. (c)
   
27,900
     
3,571,200
 
Total Communications
           
11,837,867
 
Datacenters - 0.1%
               
Digital Realty Trust, Inc. (c)
   
10,000
     
1,190,000
 
Diversified - 1.6%
               
City Developments Ltd. (u)
   
178,258
     
1,192,982
 
CK Asset Holdings Ltd. (u)
   
138,443
     
1,232,945
 
Dexus (u)
   
153,500
     
1,389,257
 
Hufvudstaden AB (u)
   
45,000
     
781,265
 
Invincible Investment Corp. (u)
   
1,710
     
836,790
 
Land Securities Group PLC (c) (u)
   
125,900
     
1,498,970
 
Merlin Properties Socimi SA (n) (u)
   
56,252
     
736,182
 
Sun Hung Kai Properties Ltd. (u)
   
90,500
     
1,555,761
 
The British Land Company PLC (u)
   
205,700
     
1,579,297
 
The GPT Group (u)
   
362,300
     
1,598,122
 
Wharf Real Estate Investment Company Ltd. (u)
   
213,900
     
1,594,134
 
Total Diversified
           
13,995,705
 
Electricity Transmission & Distribution - 1.3%
               
Edison International
   
33,500
     
2,074,320
 
National Grid PLC (u)
   
416,591
     
4,624,321
 
Sempra Energy (c)
   
34,600
     
4,354,756
 
Total Electricity Transmission & Distribution
           
11,053,397
 
Gas Utilities - 0.7%
               
Atmos Energy Corp. (c)
   
18,800
     
1,935,084
 
China Gas Holdings Ltd. (u)
   
520,130
     
1,832,376
 
Hong Kong & China Gas Company Ltd. (u)
   
272,889
     
654,454
 
NiSource, Inc. (c)
   
72,500
     
2,077,850
 
Total Gas Utilities
           
6,499,764
 
Healthcare Real Estate - 0.9%
               
HCP, Inc. (c)
   
57,000
     
1,784,100
 
Physicians Realty Trust (c)
   
98,201
     
1,847,161
 
Ventas, Inc. (c)
   
39,290
     
2,507,095
 
Welltower, Inc. (c)
   
23,500
     
1,823,600
 
Total Healthcare Real Estate
           
7,961,956
 
Hotel - 0.3%
               
Park Hotels & Resorts, Inc. (c)
   
49,900
     
1,550,892
 
RLJ Lodging Trust (c)
   
76,040
     
1,336,023
 
Total Hotel
           
2,886,915
 
Industrial - 0.6%
               
Americold Realty Trust
   
39,114
     
1,193,368
 
Granite Real Estate Investment Trust (u)
   
25,905
     
1,237,725
 
Prologis, Inc. (c)
   
21,500
     
1,546,925
 
Tritax Big Box REIT PLC (u)
   
410,521
     
768,128
 
Tritax EuroBox PLC (e) (u)
   
361,477
     
457,622
 
Total Industrial
           
5,203,768
 
Master Limited Partnerships - 4.9%
               
Energy Transfer LP (c)
   
463,226
     
7,119,784
 
Enterprise Products Partners LP (c)
   
247,791
     
7,210,718
 
Magellan Midstream Partners LP (c)
   
113,420
     
6,876,655
 
MPLX LP (c)
   
202,566
     
6,662,396
 
Phillips 66 Partners LP (c)
   
132,118
     
6,916,377
 
Plains All American Pipeline LP (c)
   
292,318
     
7,164,714
 
Thunderbird Resources Equity, Inc. (f) (l) (n)
   
11
     
11
 
Total Master Limited Partnerships
           
41,950,655
 
Midstream - 4.2%
               
Cheniere Energy, Inc. (c) (n)
   
135,855
     
9,287,048
 
ONEOK, Inc. (c)
   
106,174
     
7,415,192
 
Targa Resources Corp.
   
169,258
     
7,032,670
 
The Williams Companies, Inc. (c)
   
432,024
     
12,407,729
 
Total Midstream
           
36,142,639
 
Net Lease - 0.5%
               
EPR Properties (c)
   
10,500
     
807,450
 
MGM Growth Properties LLC (c)
   
67,213
     
2,167,619
 
WP Carey, Inc. (c)
   
15,100
     
1,182,783
 
Total Net Lease
           
4,157,852
 
Office - 2.7%
               
Allied Properties Real Estate Investment Trust (u)
   
21,200
     
782,101
 
alstria office REIT-AG (u)
   
100,584
     
1,637,132
 
Boston Properties, Inc. (c)
   
3,000
     
401,640
 
CapitaLand Commercial Trust (u)
   
535,999
     
767,948
 
Cousins Properties, Inc. (c)
   
81,700
     
789,222
 
Daiwa Office Investment Corp. (u)
   
87
     
618,892
 
Derwent London PLC (u)
   
13,637
     
572,831
 
Gecina SA (u)
   
13,000
     
1,923,077
 
Great Portland Estates PLC (u)
   
58,303
     
567,111
 
Highwoods Properties, Inc. (c)
   
34,200
     
1,599,876
 
Hongkong Land Holdings Ltd. (u)
   
211,100
     
1,502,536
 
Hudson Pacific Properties, Inc. (c)
   
40,200
     
1,383,684
 
Hulic Reit, Inc. (u)
   
200
     
340,808
 
Kenedix Office Investment Corp. (u)
   
84
     
583,191
 
Keppel REIT (u)
   
622,712
     
593,146
 
Kilroy Realty Corp. (c)
   
35,100
     
2,666,196
 
Mitsubishi Estate Company Ltd. (u)
   
135,720
     
2,462,629
 
Mitsui Fudosan Company Ltd. (u)
   
96,937
     
2,441,993
 
NIPPON REIT Investment Corp. (u)
   
110
     
423,970
 
SOHO China Ltd. (n) (u)
   
2,131,800
     
898,188
 
Total Office
           
22,956,171
 
Pipelines - 3.7%
               
Enbridge, Inc. (u)
   
146,409
     
5,302,649
 
Enbridge, Inc. (c) (u)
   
184,531
     
6,691,094
 
Infraestructura Energetica Nova SAB de CV (u)
   
109,200
     
438,820
 
Inter Pipeline Ltd. (u)
   
104,100
     
1,722,341
 
Kinder Morgan, Inc. (c)
   
577,651
     
11,558,797
 
Kunlun Energy Company Ltd. (u)
   
600,774
     
628,879
 
Pembina Pipeline Corp. (u)
   
76,100
     
2,795,487
 
TransCanada Corp. (u)
   
58,000
     
2,604,976
 
Total Pipelines
           
31,743,043
 
Ports - 0.1%
               
China Merchants Port Holdings Company Ltd. (u)
   
291,683
     
622,059
 
Rail - 0.1%
               
Rumo SA  (n) (u)
   
123,900
     
601,882
 
Renewables/Electric Generation - 1.1%
               
American Electric Power Company, Inc. (c)
   
18,000
     
1,507,500
 
Emera, Inc. (c) (u)
   
23,100
     
863,776
 
Engie SA (u)
   
81,800
     
1,219,877
 
Entergy Corp. (c)
   
21,400
     
2,046,482
 
FirstEnergy Corp. (c)
   
56,400
     
2,346,804
 
Orsted A/S (e) (u)
   
13,800
     
1,046,734
 
Vistra Energy Corp. (n)
   
25,848
     
672,823
 
Total Renewables/Electric Generation
           
9,703,996
 
Residential - 1.5%
               
Advance Residence Investment Corp. (u)
   
282
     
785,610
 
AvalonBay Communities, Inc. (c)
   
15,100
     
3,031,023
 
Essex Property Trust, Inc. (c)
   
5,731
     
1,657,634
 
Kenedix Residential Next Investment Corp. (u)
   
478
     
792,705
 
Mid-America Apartment Communities, Inc. (c)
   
24,100
     
2,634,853
 
Nippon Accommodations Fund, Inc. (u)
   
123
     
624,059
 
Vonovia SE (u)
   
67,129
     
3,483,714
 
Total Residential
           
13,009,598
 
Retail - 0.4%
               
Federal Realty Investment Trust (c)
   
5,800
     
799,530
 
Regency Centers Corp.
   
14,900
     
1,005,601
 
Simon Property Group, Inc. (c)
   
11,200
     
2,040,752
 
Total Retail
           
3,845,883
 
Self Storage - 0.4%
               
CubeSmart (c)
   
26,200
     
839,448
 
Public Storage (c)
   
10,800
     
2,352,024
 
Total Self Storage
           
3,191,472
 
Toll Roads - 1.6%
               
Atlantia SpA (u)
   
115,400
     
2,992,788
 
Ferrovial SA (u)
   
100,660
     
2,358,823
 
Promotora y Operadora de Infraestructura SAB de CV (u)
   
57,904
     
574,140
 
Transurban Group (u)
   
293,823
     
2,755,799
 
Vinci SA (u)
   
50,800
     
4,942,955
 
Total Toll Roads
           
13,624,505
 
Water - 0.1%
               
United Utilities Group PLC (u)
   
99,281
     
1,054,436
 
Total COMMON STOCKS
               
(Cost $218,596,394)
           
246,222,102
 
SHORT-TERM INVESTMENT - 1.7%
               
Money Market Fund - 1.7%
               
First American Treasury Obligations Fund, Class X, 2.37%  (y)
    14,651,059
     
14,651,059
 
Total SHORT-TERM INVESTMENT
               
(Cost $14,651,059)
           
14,651,059
 
Total Investments - 130.2%
               
(Cost $1,107,286,296)
           
1,123,176,004
 
Liabilities in Excess of Other Assets - (30.2)%
           
(260,162,462
)
TOTAL NET ASSETS - 100.0%
         
$
863,013,542
 

The following notes should be read in conjunction with the accompanying Schedule of Investments.
LIBOR - London Interbank Offered Rate
     
LLC - Limited Liability Company
     
LP - Limited Partnership
     
(c) - All of a portion of this security is pledged as collateral for credit facility.  As of March 31, 2019, the total value of the collateral was $258,533,905.
(d) - Issuer is currently in default on its regularly scheduled interest payment.
     
(e) - Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.  As of March 31, 2019, the total value of all such securities was $311,446,006 or 36.1% of net assets.
(f) - Security fair valued in good faith pursuant to the fair value procedures adopted by the Board of Directors.  As of March 31, 2019, the total value of all such securities was $4,267,987 or 0.5% of net assets.
(l) - Level 3 security.  Value determined using significant unobservable inputs.
     
(n) - Non-income producing security.
     
(p) - Private placement security.
     
(r) - Portion or entire principal amount delivered as collateral for reverse repurchase agreements. As of March 31, 2019, the total value of the collateral was $116,783,953.
(s) - Security is a “step up” bond where the coupon increases or steps up at a predetermined date.  Interest rate shown is the rate in effect as of March 31, 2019.
(u) - Foreign security or a U.S. security of a foreign company.
     
(v) - Variable rate security.  Interest rate is based on reference rate and spread or based on the underlying assets. Interest rate may also be subject to a cap or floor.  Interest rate shown is the rate in effect as of March 31, 2019.
(y) - The rate quoted is the annualized seven-day yield as of March 31, 2019.
     



Notes to Schedule of Investments (Unaudited)

Valuation of Investments: The Fund’s Board of Directors (the “Board”) has adopted procedures for the valuation of the Fund’s securities. The Adviser oversees the day to day responsibilities for valuation determinations under these procedures. The Board regularly reviews the application of these procedures to the securities in the Fund’s portfolio. The Adviser’s Valuation Committee is comprised of senior members of the Adviser’s management team. There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Fund’s net asset value (“NAV”).

Debt securities, including U.S. government securities, listed corporate bonds, other fixed income and asset-backed securities, and unlisted securities and private placement securities, are generally valued at the bid prices furnished by an independent pricing service or, if not valued by an independent pricing service, using bid prices obtained from active and reliable market makers in any such security or a broker-dealer. The broker-dealers or pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the broker-dealers or pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the broker-dealers or pricing services may also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon-rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair values. Short-term debt securities with remaining maturities of sixty days or less are valued at amortized cost of discount or premium to maturity, unless such valuation, in the judgment of the Adviser’s Valuation Committee, does not represent fair value.

Investments in equity securities listed or traded on any securities exchange or traded in the over-the-counter market are valued at the last trade price as of the close of business on the valuation date. Prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service approved by the Board in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE Close. When fair value pricing is employed, the value of the portfolio securities used to calculate the Fund’s NAV may differ from quoted or official closing prices. Investments in open-end registered investment companies, if any, are valued at the NAV as reported by those investment companies.

Securities for which market prices are not readily available or which cannot be valued using the sources described above will be valued using an internal proprietary fair value methodology. For any security warranting such fair value measurement, a memorandum, including the specific methodology and supporting information, will be provided to the Valuation Committee by a portfolio manager or analyst looking to fair value a particular security utilizing the internal proprietary fair value methodology. A portfolio manager or analyst shall use their best efforts to maximize the use of relevant observable inputs and minimize the use of unobservable inputs within their valuation technique. The Valuation Committee shall review the memorandum and supporting information provided by a portfolio manager or analyst and consider all relevant factors as it deems appropriate before approving the fair value recommendation.

The Fund may use the fair value of a security to calculate its NAV when, for example, (1) a portfolio security is not traded in a public market or the principal market in which the security trades is closed, (2) trading in a portfolio security is suspended and not resumed prior to the normal market close, (3) a portfolio security is not traded in significant volume for a substantial period, or (4) the Adviser determines that the quotation or price for a portfolio security provided by a broker-dealer or an independent pricing service is inaccurate.


The fair value of securities may be difficult to determine and thus judgment plays a greater role in the valuation process. The fair valuation methodology may include or consider the following guidelines, as appropriate: (1) evaluation of all relevant factors, including but not limited to, pricing history, current market level, supply and demand of the respective security; (2) comparison to the values and current pricing of securities that have comparable characteristics; (3) knowledge of historical market information with respect to the security; (4) other factors relevant to the security which would include, but not be limited to, duration, yield, fundamental analytical data, the Treasury yield curve, and credit quality.

The values assigned to fair valued investments are based on available information and do not necessarily represent amounts that might ultimately be realized, since such amounts depend on future developments inherent in investments. Changes in the fair valuation of portfolio securities may be less frequent and of greater magnitude than changes in the price of portfolio securities valued at their last sale price, by an independent pricing service, or based on market quotations. Imprecision in estimating fair value can also impact the amount of unrealized appreciation or depreciation recorded for a particular portfolio security and differences in the assumptions used could result in a different determination of fair value, and those differences could be material.
 
The Fund has established methods of fair value measurements in accordance with GAAP. Fair value denotes the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy has been established to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.


Level 1 -
quoted prices in active markets for identical assets or liabilities

Level 2 -
quoted prices in markets that are not active or other significant observable inputs (including, but not limited to: quoted prices for similar assets or liabilities, quoted prices based on recently executed transactions, interest rates, credit risk, etc.)

Level 3 -
significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of assets or liabilities)
 
The Adviser’s valuation policy, as previously stated, establishes parameters for the sources and types of valuation analysis, as well as, the methodologies and inputs the Valuation Committee uses in determining fair value. If the Valuation Committee determines that additional techniques, sources or inputs are appropriate or necessary in a given situation, such additional work will be undertaken.
 
Significant increases or decreases in any of the unobservable inputs in isolation may result in a lower or higher fair value measurement.
 
To assess the continuing appropriateness of security valuations, the Adviser (or its third party service provider, who is subject to oversight by the Adviser), regularly compares its prior day prices, prices on comparable securities and sale prices to the current day prices and challenges those prices that exceed certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, the Adviser’s Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
 
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.


The following table summarizes the Fund’s investments valuation inputs categorized in the disclosure hierarchy as of March 31, 2019:

Asset Type
 
Level 1
   
Level 2
   
Level 3
   
Total
 
U.S. Government & Agency Obligations
 
$
-
   
$
3,434,097
   
$
-
   
$
3,434,097
 
Securitized Credit
   
-
     
367,243,909
     
54,930,027
     
422,173,936
 
Corporate Credit
   
-
     
424,884,546
     
825
     
424,885,371
 
Term Loans
   
-
     
11,809,439
     
-
     
11,809,439
 
Common Stocks
   
182,259,056
     
63,963,035
     
11
     
246,222,102
 
Money Market Fund
   
14,651,059
     
-
     
-
     
14,651,059
 
Total Investments
 
$
196,910,115
   
$
871,335,026
   
$
54,930,863
   
$
1,123,176,004
 

The table below shows the significant unobservable valuation inputs that were used by the Adviser’s Valuation Committee to fair value these Level 3 investments as of March 31, 2019.

     
Quantitative Information about Level 3 Fair Value Measurements (1)
 Asset Type
 Value as of
March 31, 2019
 
 
 
Valuation
Approach
 Valuation
Technique
 Unobservable
Input
 
Amount or
Range/
(Weighted
Average)
Impact to
Valuation
from an
Increase in
Input (2)
Securitized Credit
         
   Class B Notes
$ 4,267,151
 
Income
Approach
Discounted
Cash Flow
Yield (Discount
Rate of Cash
Flows)
 
7.8%-11.7%   
(10.5%)
Decrease
Corporate Credit
 
    Motors Liquidation Co.
825
 
Asset-Based
Approach
Analysis of
Residual
Value
Anticipated
Residual Value
 
$0.01
Increase
 
Common Stocks
         
Thunderbird Resources Equity, Inc.
11
 
Asset-Based
Approach
Analysis of
Enterprise
Value
Enterprise
Value
 
$1
Increase
             
  Total
$   4,267,987
         

 (1) The table above does not include Level 3 securities that are valued by brokers and pricing services. At March 31, 2019, the value of these securities was $50,662,876. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in the Valuation of Investments above. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, unchanged price review, results of broker and vendor due diligence and consideration of macro or security specific events.
 (2) The impact represents the expected directional change in the fair value of the Level 3 investments that would result from an increase in the corresponding input.  A decrease to the unobservable input would have the opposite effect.  Significant changes in these inputs could result in significantly higher or lower fair value measurements.
 
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:


Investments in Securities
 
Securitized Credit
   
Corporate Credit
   
Common Stocks
   
Total
 
Balance as of December 31, 2018
 
$
50,465,563
   
$
825
   
$
394,786
   
$
50,861,174
 
Accrued discounts (premiums)
   
484,104
     
-
     
-
     
484,104
 
Realized gain (loss)
   
12,898
     
-
     
-
     
12,898
 
Change in unrealized appreciation (depreciation)
   
4,042,822
     
-
     
(394,775
)
   
3,648,047
 
Purchases at cost
   
14,191
     
-
     
-
     
14,191
 
Sales proceeds
   
(89,551
)
   
-
     
-
     
(89,551
)
Transfers out of Level 3
   
-
     
-
     
-
     
-
 
Balance as of March 31, 2019
 
$
54,930,027
   
$
825
   
$
11
   
$
54,930,863
 
Change in unrealized gains or losses relating to assets still held at the reporting date
 
$
4,042,822
   
$
-
   
$
(394,775
)
 
$
3,648,047
 

For further information regarding the security characteristics, see the Schedule of Investments.

The fair value of the Fund’s credit facility and reverse repurchase agreements, which qualify as financial instruments under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 820 Disclosures about Fair Values of Financial Instruments, approximates the carrying amounts presented herein.   As of March 31, 2019, these financial instruments are categorized as a Level 2 within the disclosure hierarchy.

Credit facility: The Fund has established a line of credit with BNP Paribas for investment purposes subject to the limitations of the 1940 Act for borrowings by registered investment companies. The Fund pays interest in the amount of 0.80% plus the 3-month London Interbank Offered Rate on the amount outstanding.

For the three months ended March 31, 2019, the average interest rate paid under the line of credit was 3.54% of the total line of credit amount available to the Fund.

Total line of credit amount available
$ 180,000,000
Line of credit outstanding at March 31, 2019
180,000,000
Line of credit amount unused at March 31, 2019
-
Average balance outstanding during the period
180,000,000
Interest expense incurred on line of credit during the period
1,570,837

Reverse Repurchase Agreements: The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date.  The Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties are reflected as a liability. Interest payments made by the Fund to counterparties are recorded as a component of interest expense. The Fund will segregate assets determined to be liquid by the Adviser or will otherwise cover its obligations under reverse repurchase agreements.

Reverse repurchase agreements involve the risk that the market value of the securities retained in lieu of sale by the Fund may decline below the price of the securities the Fund has sold but is obligated to repurchase. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision. Also, the Fund would bear the risk of loss to the extent that the proceeds of the reverse repurchase agreement are less than the value of the securities subject to such agreements.


At March 31, 2019, the Fund had the following reverse repurchase agreements outstanding:

Counterparty
Borrowing
Rate
Borrowing
Date
Maturity
Date
Amount Borrowed(1)
Payable For Reverse
Repurchase
Agreements
           
JPMorgan Chase
    2.00%
02/07/19
04/04/19
 $          782,580
$          784,884
JPMorgan Chase
2.25
12/26/18
04/04/19
791,512
796,261
JPMorgan Chase
2.50
02/07/19
04/04/19
 12,369,773
12,407,632
JPMorgan Chase
2.75
12/26/18
04/04/19
1,093,922
1,101,944
JPMorgan Chase
2.75
02/07/19
04/04/19
 2,270,079
2,279,270
JPMorgan Chase
2.80
02/07/19
04/04/19
 6,925,831
6,954,381
JPMorgan Chase
2.95
12/26/18
04/04/19
760,024
765,758
JPMorgan Chase
2.95
02/07/19
04/04/19
1,861,312
1,868,933
JPMorgan Chase
3.00
12/26/18
04/04/19
747,536
753,111
JPMorgan Chase
3.00
02/07/19
04/04/19
 2,857,849
2,869,777
JPMorgan Chase
3.10
02/07/19
04/04/19
6,779,281
6,810,220
JPMorgan Chase
3.10
02/07/19
04/04/19
5,466,000
5,490,946
RBC Capital Markets
3.15
03/05/19
06/05/19
 9,205,000
9,226,737
RBC Capital Markets
3.18
03/20/19
06/20/19
 6,426,000
6,432,817
RBC Capital Markets
3.21
02/22/19
05/21/19
 5,488,000
5,506,615
RBC Capital Markets
3.24
02/19/19
05/17/19
 4,890,000
4,908,066
RBC Capital Markets
3.25
02/11/19
04/05/19
 3,376,000
3,390,920
RBC Capital Markets
3.25
02/11/19
05/13/19
3,634,000
3,650,061
RBC Capital Markets
3.32
01/25/19
04/25/19
3,025,000
3,043,415
RBC Capital Markets
3.35
01/11/19
04/05/19
 828,000
834,162
RBC Capital Markets
3.35
01/11/19
04/11/19
 2,497,000
2,515,583
RBC Capital Markets
3.38
03/20/19
06/20/19
 5,047,000
5,052,691
RBC Capital Markets
3.39
02/21/19
05/21/19
                 4,025,000
4,039,787
RBC Capital Markets
3.52
01/25/19
04/25/19
                  4,994,000
5,026,233
Total
     
       $     96,140,699
              $         96,510,204
(1)
The average daily balance of reverse repurchase agreements outstanding for the Fund during the three months ended March 31, 2019 was $93,358,521 at a weighted average daily interest rate of 3.22%.


 

The following is a summary of the reverse repurchase agreements by the type of collateral and the remaining contractual maturity of the agreements:

 
Up to 30
Days
30 to 90 Days
Greater
Than 90
Days
Total
Corporate Credit
$57,425,699
$38,715,000
$             -
$96,140,699
Total
$57,425,699
$38,715,000
$             -
$96,140,699